
tsset date, monthly

// Table 3: Results for Column summarizing Test: ret_alpha spans p (alpha spans p)

newey rmrf ret_alpha_p, lag(12)

newey ret_sii_p ret_alpha_p, lag(12)

newey ret_dy_p ret_alpha_p, lag(12)

newey ret_dp_p ret_alpha_p, lag(12)

newey ret_de_p ret_alpha_p, lag(12)

newey ret_gp_p ret_alpha_p, lag(12)

newey ret_ep_p ret_alpha_p, lag(12)

newey ret_bm_p  ret_alpha_p, lag(12)

newey ret_dfy_p ret_alpha_p, lag(12)

newey ret_tms_p ret_alpha_p, lag(12)

newey ret_svar_p ret_alpha_p, lag(12)

newey ret_tbl_p ret_alpha_p, lag(12)

newey ret_lty_p ret_alpha_p, lag(12)

newey ret_dfr_p ret_alpha_p, lag(12)

newey ret_ltr_p ret_alpha_p, lag(12)

newey ret_vrp_p ret_alpha_p, lag(12)

newey ret_infl_p ret_alpha_p, lag(12)

newey ret_ntis_p ret_alpha_p, lag(12)

// Table 3: Results for Column summarizing Test: p spans ret_alpha (p spans alpha)

newey ret_alpha_p rmrf, lag(12)

newey ret_alpha_p ret_sii_p, lag(12)

newey ret_alpha_p ret_dy_p, lag(12)

newey ret_alpha_p ret_dp_p, lag(12)

newey ret_alpha_p ret_de_p, lag(12)

newey ret_alpha_p ret_gp_p, lag(12)

newey ret_alpha_p ret_ep_p, lag(12)

newey ret_alpha_p ret_bm_p, lag(12)

newey ret_alpha_p ret_dfy_p, lag(12)

newey ret_alpha_p ret_tms_p, lag(12)

newey ret_alpha_p ret_svar_p, lag(12)

newey ret_alpha_p ret_tbl_p, lag(12)

newey ret_alpha_p ret_lty_p, lag(12)

newey ret_alpha_p ret_dfr_p, lag(12)

newey ret_alpha_p ret_ltr_p, lag(12)

newey ret_alpha_p ret_vrp_p, lag(12)

newey ret_alpha_p ret_infl_p, lag(12)

newey ret_alpha_p ret_ntis_p, lag(12)

newey ret_alpha_p ret_sii_p ret_gp_p ret_dp_p ret_dy_p ret_lty_p ret_bm_p ret_tbl_p ret_vrp_p ret_ep_p ret_svar_p ret_infl_p ret_tms_p ret_dfy_p ret_de_p ret_ntis_p ret_dfr_p ret_ltr_p, lag(12)

// Table 3: Results for Column FF5 abnormal returns (FF5 alpha)

newey ret_alpha_p rmrf smb hml rmw cma, lag(12)

newey ret_sii_p rmrf smb hml rmw cma, lag(12)

newey ret_dy_p rmrf smb hml rmw cma, lag(12)

newey ret_dp_p rmrf smb hml rmw cma, lag(12)

newey ret_de_p rmrf smb hml rmw cma, lag(12)

newey ret_gp_p rmrf smb hml rmw cma, lag(12)

newey ret_ep_p rmrf smb hml rmw cma, lag(12)

newey ret_bm_p  rmrf smb hml rmw cma, lag(12)

newey ret_dfy_p rmrf smb hml rmw cma, lag(12)

newey ret_tms_p rmrf smb hml rmw cma, lag(12)

newey ret_svar_p rmrf smb hml rmw cma, lag(12)

newey ret_tbl_p rmrf smb hml rmw cma, lag(12)

newey ret_lty_p rmrf smb hml rmw cma, lag(12)

newey ret_dfr_p rmrf smb hml rmw cma, lag(12)

newey ret_ltr_p rmrf smb hml rmw cma, lag(12)

newey ret_vrp_p rmrf smb hml rmw cma, lag(12)

newey ret_infl_p rmrf smb hml rmw cma, lag(12)

newey ret_ntis_p rmrf smb hml rmw cma, lag(12)

// Table 13: Predicting Market Crashes

cap drop mkt_crash5

gen mkt_crash5 = 0

replace mkt_crash5 = 1 if rm <= -0.05

sum mkt_crash5

//Full Sample Period

logit mkt_crash5 l1.alpha, robust

logit mkt_crash5 l1.alpha l1.q, robust

logit mkt_crash5 l1.alpha l1.vix, robust

logit mkt_crash5 l1.alpha l1.pd, robust

logit mkt_crash5 l1.q l1.vix l1.pd, robust

logit mkt_crash5 l1.alpha l1.q l1.vix l1.pd, robust

//Expansion

logit mkt_crash5 l1.alpha if date>=monthly("2010m1","YM") & date<=monthly("2019m12","YM"), robust

logit mkt_crash5 l1.alpha l1.q if date>=monthly("2010m1","YM") & date<=monthly("2019m12","YM"), robust

logit mkt_crash5 l1.alpha l1.vix if date>=monthly("2010m1","YM") & date<=monthly("2019m12","YM"), robust

logit mkt_crash5 l1.alpha l1.pd if date>=monthly("2010m1","YM") & date<=monthly("2019m12","YM"), robust

logit mkt_crash5 l1.q l1.vix l1.pd if date>=monthly("2010m1","YM") & date<=monthly("2019m12","YM"), robust

logit mkt_crash5 l1.alpha l1.q l1.vix l1.pd if date>=monthly("2010m1","YM") & date<=monthly("2019m12","YM"), robust


